Daily Trading Stance Friday, October 09, 2009

Theme Comment
Yesterday’s US bond auction not too impressive: Bid/Cover @ 2.37 vs. average of 2.63 since June. Yield @ 4%.
Stocks edge higher still and S&P500 now challenging the 2009 high of 1080.
ECB and BoE as expected yesterday, both virtually promising low interest rates for many more months. Should be
supporting risk (EM, Commodities, Stocks, Corporate Credit).
SEK still hurt by Latvian show-down: Moving to “non-recourse”-like regime, which might result in extremely big
writedowns for Swedish banks, especially SEB and Swedbank.
EUR, AUD, Gold rejected at or close to new highs. Likely to see a little retreat before moving higher again.

Economic Data Releases

Country Time (GMT) Name Expectation Prior Comment
UK 08:30 PPI Output / Core Output MoM (SEP) 0.1% / 0.2% 0.2% / 0.2%
CA 11:00 Unemployment Rate (SEP) 8.8% 8.7%
US 12:30 Trade Balance (AUG) -$33.0B -$32.0B

FX Daily stance Comment

EURUSD 0/- 1.4710-20 looks critical suppt to preserve uptrend. Below sees 1.4650, poss 1.46
USDJPY 0/- MA Res at 89.35 needs to hold for another attempt on 88.25, else we retrace to 89.80 again
EURJPY 0 Lacking direction/momentum despite risk appetite. Still trading a 130.50 – 132.0 range
GBPUSD 0 Expect to consolidate 1.5980 – 1.6080 range
AUDUSD 0/+ While suppt at 0.90 holds look to test new 2009 highs. Below targets 0.8940-50 suppt area

FX-Options Comment
EURUSD With spot off the highs, vols should come under pressure. Gamma likely to follow
lower . Talk of barriers 1.4850.
USDJPY Vols got given as spot rallies above 8900 on the back of bullish USD comments by
Bernanke. If this move does not follow through, should see vols finding support again.
AUDUSD Vols were a touch softer today and gamma seeing some selling interest as the weekend
looms. Likely to see continue seeing selling pressure should spot stay in this range.

Equities Daily stance Comment

DAX 0/+ Buy on dips towards 5683 and target 5734. Stop below 5665.
FTSE100 0/+ Buy on dips towards 5125 and target 5164. Stop below 5110.
S&P500 0/+ Buy on dips towards 1061 and target 1070. Stop below 1057.
Nasdaq100 0/+
Dow Jones 0/+

Commodities Daily Stance Comment

Gold 0/+ Buy on dips towards 1040 and target 1050. Stop below 1036.
Silver 0/- Sell at the break of 17.49 and target 17.25. Stop above 17.65
Oil (CLX9) 0 Neutral

Earnings Releases
Country Time (GMT) Name EPS exp. EPS prior Comment
(G(GMT)(G
MT)
 Daily Trading Stance

Top 100 Global Stocks CDS Index

US Breakeven 10 Year 140
3

2,5
120

100
1,5

1 80

0,5

60

-0,5 40
30-maj 30-jul 30-sep 30-nov 31-jan 31-mar 31-maj 31-jul 30-sep 10-10-2008 10-12-2008 10-02-2009 10-04-2009 10-06-2009 10-08-2009
US Br eakeven 10 Year Saxo CDS Index

USD breakeven 10 Year – an expression for measuring inflation Credit Default Swaps are expressions for the perceived
expectations. default risk in a company. Now at 57.
AAA and BAA Corporate Bonds vs. 30yr US Treasuries
EURUSD Opt. Vol.
35 7

6
30

5
25

4
20
3
15
2

10
1

5
0
feb-08 maj-08 aug-08 nov-08 feb-09 maj-09 aug-09
0
sep-07 nov-07 jan-08 mar-08 maj-08 jul-08 sep-08 nov-08 jan-09 mar-09 maj-09 jul-09 sep-09
M o o d y B A A - US Ge n eri c Go vt 3 0 Ye ar Yi e l d M o o d y A A A - US Ge n eri c Go vt 3 0 Ye ar Yi e l d
EUR- USD OPT VOL 1W EUR- USD OPT VOL 1M EUR- USD OPT VOL 1Y

Volatility at different time horizons. Too low, now? Spreads are easing, but still showing tight corporate debt
markets.

CEE-German Govt. Bond Spreads CBOE SPX VOLATILITY INDEX

12 50

45
10
40

35
8
30

6 25

20

4 15

10
2
5

0
0
mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09
dec-08 jan-09 feb-09 mar-09 apr-09 maj-09 jun-09 jul-09 aug-09 sep-09
CBOE SPX VOLATI LI TY I NDX

GDM AHungar ian - Ger m an Cz echRepublic - Ger m an Poland - Ger m an

The VIX Index is now at 24.

1
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